Enviar artigo por via de e-mail Extremal measures and hedging in American options
- Autores: Khametov V.M.1,2, Shelemekh E.A.3
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Afiliações:
- Moscow Institute of Electronics and Mathematics
- National Research University Higher School of Economics
- Central Economics and Mathematics Institute
- Edição: Volume 77, Nº 6 (2016)
- Páginas: 1041-1059
- Seção: Control in Social Economic Systems, Medicine, and Biology
- URL: https://journals.rcsi.science/0005-1179/article/view/150362
- DOI: https://doi.org/10.1134/S0005117916060084
- ID: 150362
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Resumo
We establish existence conditions for extremal probability measures, study their properties, and consider applications of such measures for solving the perfect hedging problem for American options on incomplete “frictionless” markets with finite horizon. We develop an algorithm for computing an American option and solve a corresponding new example with this algorithm.
Sobre autores
V. Khametov
Moscow Institute of Electronics and Mathematics; National Research University Higher School of Economics
Autor responsável pela correspondência
Email: khametovvm@mail.ru
Rússia, Moscow; Moscow
E. Shelemekh
Central Economics and Mathematics Institute
Email: khametovvm@mail.ru
Rússia, Moscow
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